An overview of forecasting facing breaks
Economic forecasting may go badly awry when there are structural breaks, such that the relationships between variables that held in the past are a poor basis for making predictions about the future. We review a body of research that seeks to provide viable strategies for economic forecasting when pa...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Published: |
Springer Verlag
2016
|
| _version_ | 1826266352962240512 |
|---|---|
| author | Castle, J Clements, M Hendry, D |
| author_facet | Castle, J Clements, M Hendry, D |
| author_sort | Castle, J |
| collection | OXFORD |
| description | Economic forecasting may go badly awry when there are structural breaks, such that the relationships between variables that held in the past are a poor basis for making predictions about the future. We review a body of research that seeks to provide viable strategies for economic forecasting when past relationships can no longer be relied upon. We explain why model mis-specification by itself rarely causes forecast failure, but why structural breaks, especially location shifts, do. That serves to motivate possible approaches to avoiding systematic forecast failure, illustrated by forecasts for UK GDP growth and unemployment over the recent recession. |
| first_indexed | 2024-03-06T20:37:37Z |
| format | Journal article |
| id | oxford-uuid:3327337b-a86e-43a5-aa76-661760f196f1 |
| institution | University of Oxford |
| last_indexed | 2024-03-06T20:37:37Z |
| publishDate | 2016 |
| publisher | Springer Verlag |
| record_format | dspace |
| spelling | oxford-uuid:3327337b-a86e-43a5-aa76-661760f196f12022-03-26T13:18:35ZAn overview of forecasting facing breaksJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:3327337b-a86e-43a5-aa76-661760f196f1Symplectic Elements at OxfordSpringer Verlag2016Castle, JClements, MHendry, DEconomic forecasting may go badly awry when there are structural breaks, such that the relationships between variables that held in the past are a poor basis for making predictions about the future. We review a body of research that seeks to provide viable strategies for economic forecasting when past relationships can no longer be relied upon. We explain why model mis-specification by itself rarely causes forecast failure, but why structural breaks, especially location shifts, do. That serves to motivate possible approaches to avoiding systematic forecast failure, illustrated by forecasts for UK GDP growth and unemployment over the recent recession. |
| spellingShingle | Castle, J Clements, M Hendry, D An overview of forecasting facing breaks |
| title | An overview of forecasting facing breaks |
| title_full | An overview of forecasting facing breaks |
| title_fullStr | An overview of forecasting facing breaks |
| title_full_unstemmed | An overview of forecasting facing breaks |
| title_short | An overview of forecasting facing breaks |
| title_sort | overview of forecasting facing breaks |
| work_keys_str_mv | AT castlej anoverviewofforecastingfacingbreaks AT clementsm anoverviewofforecastingfacingbreaks AT hendryd anoverviewofforecastingfacingbreaks AT castlej overviewofforecastingfacingbreaks AT clementsm overviewofforecastingfacingbreaks AT hendryd overviewofforecastingfacingbreaks |